Using CAViaR Models with Implied Volatility for Value-at-Risk Estimation
نویسندگان
چکیده
منابع مشابه
high volatility, thick tails and extreme value theory in value at risk estimation: the case of liability insurance in iran insurance company
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ژورنال
عنوان ژورنال: Journal of Forecasting
سال: 2011
ISSN: 0277-6693
DOI: 10.1002/for.1251